Had this issue last year when moving from Citrix to Horizon.
We have a workaround that works fine and forces numlock on at login, however if the user has a small form factor keyboard and numlock uses the letter keys it will confuse them.
We have a scheduled task that runs at each user login and runs the following vbs script. I don't like it beccuase it uses Word - but it works for the purpose we need it for. I am however now looking for a better solution.
on error resume next
Set objWord = CreateObject("Word.Application")
if not objWord.NumLock ="True" then
set WshShell = CreateObject("WScript.Shell")
WshShell.SendKeys "{NUMLOCK}"
end if
objWord.Quit
